Oil price volatility: impacts in the Brazilian economy

Adilson de Oliveira (), Susan Schommer () and Ledson da Rosa ()
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Adilson de Oliveira: Economics Institute - Federal University of Rio de Janeiro
Susan Schommer: Economics Institute - Federal University of Rio de Janeiro
Ledson da Rosa: Economics Institute - Federal University of Rio de Janeiro

Economics Bulletin, 2023, vol. 43, issue 1, 429 - 440

Abstract: In this article, we analyze the impact of oil price volatility on Brazil's macroeconomic variables. The estimation is made using an autoregressive vector model (VAR) for the period from January 2001 to June 2021. The monthly oil price volatility is calculated utilizing the realized volatility of daily oil prices. The study's main finding is that oil price volatility has a negative and statistically significant impact on Brazilian economic growth and investment. Our results suggest that these impacts take four and twelve months, respectively, to dissipate.

Keywords: Oil price volatility; Economic growth; Brazil; VAR Model (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2023-03-30
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